課程名稱︰金融機構管理
課程性質︰
課程教師︰陳勝源
開課系所︰財金系
考試時間︰93下
試題 :
一、選擇題5題，每題4分。
1.Holding corporate bonds with fixed interest rates involves
A)default risk only.
B)interest rate risk only.
C)liquidity risk and interest rate risk only.
D)default risk and interest rate risk
E)default and liquidity risk only.
Use the following to answer questions 2-4：
A bank has liabilities of $2 millon with an average maturity of
two years paying interest rates of 8 percent annually.It has assets
of $2.5 million with an average maturity of 5 years earning interest
rates of 10 percent annually.
2.To what risk is it exposed?
A)reinvestment risk.
B)refinancing risk.
C)interest rate risk.
D)Answers a and c.
E)Answers b and c.
3.What is its net interest earnings in year 3, if it refinances its
liabilities at a rate of 12 percent?
A)+$10,000
B)-$20,000
C)-$15,000
D)+$20,000
E)-$10,000
4.What is the maximum interest rate that it can refinance its $2 million
liability and still break even on its net interest earnings?
A)10.0 percent
B)11.0 percent
C)12.0 percent
D)12.5 percent
E)13.0 percent
5.In making credit decisions,the following item is considered a market-
specific factor.
A)Whether the reputation of the borrower enhances the credit application.
B)The position fo the economy in the business cycle phase.
C)Whether the debt can be secured by specific property.
D)Whether the current debt-equity ratio is sufficiently low to not impact
the probability fo repayment.
E)Whether the volatility of earnings could present a period where the periodic
payment of interest and principal would be at risk.
二、計算問答題4題，每題20分。
1.The duration fo an 11-year,$1000 Treasury bond paying a 10 percent semiannual
coupon and selling at par ahs been estimated at 6.9 years.
a.Whata is the modified duration of the bond(Modified Duration=D/(1+R)?
b.What will be the estimated price change of the bond if market interest rates
increase 0.10 percent(10bisis points)? If rates decrease 0.20 percent(20 basis
points)?
c.What would be the actual price of the bond under each rate change situation
in part(b) using the traditional present value bond pricing techniques? What
is the amount of error in each case?
2.The following is a schedule of historical defaults(yearly and cumulative)
experienced by an FI manager on a protfolio of commercial and mortgage loans.
Years after Issuance
Loan Type 1Years 2Years 3Years 4Years 5Years
Commercial:
Annual default 0.00% 0.50% 0.30%
Cumulative default 0.10% 0.80%
Mortgage:
Annual default 0.10% 0.25% 0.60% 0.80%
Cumulative default 1.64%
a.Complete the blank spaces in the table.
b.What are the probabilities that each type of loan will not be in default
after 5 years?
c.What is the measured difference between the cumulative default(mortality)
rates for commercial and mortgage loans after four years?
3.Explain the BIS capital chargecalculation for unsystematic and systematic
risk for an FIthat holds various amounts fo equities in its portfolio.What
would be the total capital charge
required for an FI that holds the following portfolio of stocks? What
criticisms can be levied against this treatment of measuring the risk in the
equity portfolio?
Company Long Short
Texaco $45M $25M
Microsoft $55M $12M
Robeco $20M
Cifra $15M M:Million
4.Nearby Bank has the following balance sheet(in millions):
Assets Liailities and Equity
Cash $60 Demand deposits $140
5-year treasury $60 1-Year Certificates of Deposit $160
30-year mortgages $200 Equity $20
Total Assets $320 Total Liabilities and Equity $320
What is the maturity for Near Bank? Is Nearby Bank more exposed to an increase
or decrease in interest? Explain why?
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